Game of thrones is actually three separate tv shows filmed and shot simultaneously, in different locations. There are three completely separate crews and teams known as "units".
Many big films have a "second unit" with a less important director than the official one; who shoots establishing shots, minor locations and other scenes that the headline director cant be bothered or doesn't have time to do. This happened on the Godfather for example where the close ups of sonny being shot at the traffic booth look noticeably different from the rest of the movie and are often viewed as wierdly cheesy or bugsy mallone like, because they are the work of a second unit director; to francis ford coppola's eternal embarrassment.
GOT is unique in that rather than a junior and senior unit, it has three equal first units in different parts of the world, codenamed Wolf, Dragon and Lion.
They cover the different climates that the show takes place in.
One in Iceland covering all the snow scenes like bran and jon.
One in Northern Ireland doing all the British looking scenes as well as all the interior scenes shot on sound stages and in the studio
One covering all the hot dessert scenes and shooting in Croatia, Morocco and spain, though sometimes they may switch them around and have two units in the med, one in Morocco /spain and the other in Croatia, depending on how busy they are.
Different units each have their own equal directors leading them.
When everything is shot the show runners pick one person who may or may not have run a unit, to be in charge of editing and unifying the footage for each episode to set the tone and flow of that piece.
They pick the director based on the nature of the episode. For example they chose famous British horror / action director neil Marshall to direct the episode blackwater because of its focus on violence and his experience of shooting and editing hard action on the cheap.
Hope that makes it all clear!